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I coded and tested it.
Ordinary momentum has only 1 parameter.
The Dennis Meyers approach requires a minimum of 2,
Meyers recommends 3 parameters
(1) lookback;
(2) buy level;
(3) sell level
with walk forward optimization.
Did it improve results?
Yes, if you go back to the 1970's and 1980's.
Some famously strong trending markets, e.g. NG showed SOME
improvement but the performance edge declines the further
you move into the late 1990's. Once Natural Gas became a
real active market, the performance edge evaporated. By the
end of the '90's I could not identify any markets showed
statistically significant gains.
Actually, for a system with 3 degrees of freedom (3
parameters) the polychromatic momentum UNDER PERFORMED other
3 degree freedom systems when tested on a diversified basket
of markets.
Yet another example of the famous 'curve fit' articles.
Look at his article on "Surfing the polynomial curve", the
ultimate curve fit article. :-)
Leslie
Ray Gurke wrote:
>
> Just wondering if anyone programmed the Polychromatic Momentum System (by
> Dennis Meyers) on page 54 of November 2002 Active Trader, and if you'd care
> to share your thoughts/impressions?
>
> Ray
--
Regards,
Leslie Walko
610-688-2442
--
"Life is a tragedy for those who feel, a comedy for those
who think"
Horace Walpole, 4th earl of Orford, in a letter dated about
1770
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